摘要
为了更贴合股票价格变化过程的实际,假定股票价格服从双分数布朗运动驱动的随机微分方程,预期收益率和利率为时间的非随机函数,波动率为常数,在双分数布朗运动环境下建立金融数学模型,利用保险精算方法研究后定选择权定价问题,将后定选择权的定价成功推广至更切合实际股价变化过程的双分数布朗运动模型下,得出了双分数布朗运动环境下后定选择权定价公式.并对期权定价公式进行了参数敏感性分析,得出各个参数对期权价格的具体影响水平.
In order to better fit the actual situation of the stock market price change progress, this paper assumes that the stock price submits to the stochastic differential equation driven by hi-fractional Brownian, the expected yield rate and interest rate are non-stochastic function of time, and makes volatility as the constant. The financial mathematical model in the hi-fractional Brownian motion environment is established. The pricing problem of chooser option is discussed using the actuarial approach, and the pricing formula of the chooser option in bi-fractional Brownian motion environment is obtained. Finally, basing on the pricing formula, the sensitivity of chooser option with respect to parameter S, T, t,σ, r is analyzed, and the influence level of each parameter on option pricing is provided.
出处
《杭州师范大学学报（自然科学版）》
CAS
2017年第3期301-306,共6页
Journal of Hangzhou Normal University(Natural Science Edition)
基金
陕西省自然科学基金项目(2016JM1031)
陕西省教育厅专项科研基金项目(14JK1299)
关键词
双分数布朗运动
后定选择权
保险精算
随机微分方程
bi-fractional Brownian motion
chooser option
actuarial approach
stochastic differential equation
